China reformed value-added tax (VAT) by removing investment from the tax base in northeastern provinces in 2004, which is a “natural experiment” of its tax system. Using difference-in-differences method, this paper for the first time investigates the impact of VAT reform on China firms'...

We study the time-varying nature of US monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term structure model. In this model, the spot rate follows the Taylor rule and government bonds at different maturities are priced by no-arbitrage. We allow the...

Heterogeneity in beliefs and time preferences among investors makes stock volatility stochastic, even though the volatility of the underlying dividend is constant. The prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas. The Black-Scholes...

Heterogeneity in beliefs and time preferences among investors make stock volatility stochastic, even though the volatility of the underlying dividend is constant. The prices of the European options written on this stock admit closed-form solutions, hence their hedging deltas. The Black-Scholes...

We study the time-varying nature of US monetary policies summarized by the Taylor rule based on a continuous-time regime-switching term structure model. In this model, the spot rate follows the Taylor rule and government bonds at different maturities are priced by no-arbitrage. We allow the...

We study sourcing and pricing decisions of a firm with correlated suppliers and a price-dependent demand. With two suppliers, the insight -- cost is the order qualifier while reliability is the order winner -- derived in the literature for the case of exogenously determined price and independent...

Is greater trading liquidity good or bad for corporate governance? We address this question both theoretically and empirically. We solve a model consisting of an optimal IPO followed by a dynamic Kyle market in which the large investor's private information concerns her own plans for taking an...

The creation of the China-led AIIB has been the most important event in the international financial sphere in recent years, but the comments about it have often been made from a multitude of lenses, thus complicating the recognition of its real implication. By clarifying the inclinations...